M1ke will probebly know more than me. The only experience i have had is with a mk2 8v digi chip off ebay, it hardly made any difference.
Link what you are thinking of buying as a chip and I can give a better opinion to be honest. As the word chip is a little vague at the best of times.
The cat on mine is in a 3' section of pipe. Not easy just to bodge in another one. You'd want to start with the same car. Suggest you get under it and have a look to see how it's built on the A4 - might be easy, might not.
Took me about 2 hours all in, including taking off and putting back on. I did have to cut some of the bolts though, so power tools help. Less time than it would take you to go to the scrappies and find one.